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dc.date.accessioned2021-09-24T14:47:17Z
dc.date.available2021-09-24T14:47:17Z
dc.identifier.urihttps://fif.hebis.de/xmlui/handle/123456789/2077
dc.description.abstractWe compile a novel database of time-stamped monetary policy events by the four main central banks—the Federal Reserve (Fed), the European Central Bank (ECB), the Bank of England (BOE) and the Bank of Japan (BOJ)—spanning the period from the late 1990s through the end of 2017. We classify events on several dimensions. At the basic level, we distinguish events by types of communication tools, most importantly (i) statements of monetary policy decisions, (ii) press conferences, (ii) releases of minutes of the policy meeting and, in the case of the BOE, inflation reports. We further introduce a classification of unconventional policy interventions, e.g., distinguishing between the phases of asset purchase programs. We additionally characterize announcements by whether they are accompanied by changes in explicit forward guidance.
dc.rightsAttribution-ShareAlike 4.0 International
dc.rights.urihttp://creativecommons.org/licenses/by-sa/4.0/
dc.subjectFinancial Markets
dc.titleCieslakSchrimpf_2019
dc.typeResearch Data
dcterms.isReferencedByhttps://fif.hebis.de/xmlui/handle/123456789/2408?The FOMC Risk Shift
dc.subject.keywordsmonetary policy surprises
dc.subject.keywordsequity premium
dc.subject.keywordsfund flows
dc.subject.keywordsportfolio rebalanc- ing
dc.subject.keywordsprice pressures
dc.subject.jelG10
dc.subject.jelG12
dc.subject.jelE44
dc.subject.topic1bollerslev
dc.subject.topic1policy
dc.subject.topic1importantly
dc.subject.topic2asset
dc.subject.topic2indicative
dc.subject.topic2spread
dc.subject.topic3risk
dc.subject.topic3exposure
dc.subject.topic3light
dc.subject.topic1nameConsumption
dc.subject.topic2nameFinancial Markets
dc.subject.topic3nameSaving and Borrowing
dc.identifier.urlhttps://www.bis.org/publ/work761.pdf


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